Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value Measurements

Schedule of financial instruments carried at fair value on a recurring basis

(in thousands)	Level 1		Level 2		Level 3		Total
December 31, 2021
Assets:
Loans, held for sale, at fair value	$	—	$	321,070	$	231,865	$	552,935
Loans, net, at fair value		—		—		10,766		10,766
Paycheck Protection Program loans		—		—		3,243		3,243
MBS, at fair value		—		97,915		1,581		99,496
Derivative instruments, at fair value		—		4,683		2,339		7,022
Residential MSRs, at fair value		—		—		120,142		120,142
Investment in unconsolidated joint ventures		—		—		8,894		8,894
Total assets	$	—	$	423,668	$	378,830	$	802,498
Liabilities:
Derivative instruments, at fair value	$	—	$	410	$	—	$	410
Contingent consideration		—		—		16,400		16,400
Total liabilities	$	—	$	410	$	16,400	$	16,810
December 31, 2020
Assets:
Loans, held for sale, at fair value	$	—	$	340,288	$	—	$	340,288
Loans, net, at fair value		—		—		13,795		13,795
Paycheck Protection Program loans		—		—		74,931		74,931
MBS, at fair value		—		62,880		25,131		88,011
Derivative instruments, at fair value		—		—		16,363		16,363
Residential MSRs, at fair value		—		—		76,840		76,840
Total assets	$	—	$	403,168	$	207,060	$	610,228
Liabilities:
Derivative instruments, at fair value	$	—	$	11,604	$	—	$	11,604
Total liabilities	$	—	$	11,604	$	—	$	11,604

Summary of the valuation techniques and significant unobservable inputs used for the Company's financial instruments that are categorized within Level 3 of the fair value hierarchy

The table below presents the valuation techniques and significant unobservable inputs used to value Level 3 financial instruments, using third party information without adjustment.

(in thousands)	Fair Value		Predominant Valuation Technique (a)		Unobservable Input	Range		Weighted Average
December 31, 2021
Residential MSRs, at fair value	$	120,142		Income Approach	Forward prepayment rate | Forward Default Rate | Discount rate | Servicing expense		(b)		(b)
Derivative instruments, at fair value	$	2,339		Market Approach	Origination pull-through rate | Servicing Fee Multiple | Percentage of unpaid principal balance		63.0 - 100% | 0.4 - 5.2% | 0.1 - 3.1%		86.7% | 4.1% | 1.3%
Investment in unconsolidated joint ventures	$	8,894		Income Approach	Discount rate		9.0%		9.0%
Contingent consideration	$	(16,400)		Monte Carlo Simulation Model	EBT volatility | Risk-free rate of return | EBT discount rate | Liability discount rate		25.0% | 0.4% | 17.6% | 3.8%		25.0% | 0.4% | 17.6% | 3.8%
December 31, 2020
Residential MSRs, at fair value	$	76,840		Income Approach	Discount rate		(b)		(b)
Derivative instruments, at fair value	$	16,363		Market Approach	Origination pull-through rate | Servicing Fee Multiple | Percentage of unpaid principal balance		47.6 - 100% | 0.5 - 12.8% | 0.1 - 2.9%		84.1% | 3.6% | 1.1%

(a) Prices are weighted based on the unpaid principal balance of the loans and securities included in the range for each class.

(b) Refer to Note 9 - Servicing Rights for more information on residential MSRs unobservable inputs.

Summary of changes in the fair value of financial instruments held at fair value classified as Level 3

(in thousands)	MBS		Derivatives		Loans, net		Loans, held for sale, at fair value		PPP loans		Residential MSRs			Investment in unconsolidated joint ventures		Contingent Consideration		Total
Year Ended December 31, 2021
Beginning Balance	$	25,131	$	16,363	$	13,795	$	—	$	74,931	$	76,840	$	—	$	—	$	207,060
Purchases or Originations		—		—		—		283,054		3,866		—		9,197		(12,400)		283,717
Additions due to loans sold, servicing retained		—		—		—		—		—		46,286		—		—		46,286
Sales / Principal payments		(92)		—		(3,201)		(68,001)		(75,554)		(19,904)		—		—		(166,752)
Realized gains, net		—		—		7		(1,635)		—		—		—		—		(1,628)
Unrealized gains (losses), net		1,253		(14,024)		165		86		—		16,920		(303)		(4,000)		97
Accreted discount, net		59		—		—		—		—		—		—		—		59
Transfer to (from) Level 3		(24,770)		—		—		18,361		—		—		—		—		(6,409)
Ending Balance	$	1,581	$	2,339	$	10,766	$	231,865	$	3,243	$	120,142	$	8,894	$	(16,400)	$	362,430
Unrealized gains (losses), net on assets/liabilities	$	154	$	2,339	$	(190)	$	3,133	$	—	$	(30,289)	$	(303)	$	(4,000)	$	(29,156)
Year Ended December 31, 2020
Beginning Balance	$	460	$	2,814	$	20,212	$	—	$	—	$	91,174	$	—	$	—	$	114,660
Originations		12,640		—		—		—		106,704		—		—		—		119,344
Additions due to loans sold, servicing retained		—		—		—		—		—		43,701		—		—		43,701
Sales / Principal payments		(13)		—		(5,649)		—		(31,786)		(20,777)		—		—		(58,225)
Realized gains, net		—		—		350		—		—		—		—		—		350
Unrealized gains (losses), net		(348)		13,549		(1,118)		—		13		(37,258)		—		—		(25,162)
Accreted discount, net		12		—		—		—		—		—		—		—		12
Transfer to (from) Level 3		12,380		—		—		—		—		—		—		—		12,380
Ending Balance	$	25,131	$	16,363	$	13,795	$	—	$	74,931	$	76,840	$	—	$	—	$	207,060
Unrealized gains (losses), net on assets/liabilities	$	602	$	16,363	$	(293)	$	—	$	—	$	(47,209)	$	—	$	—	$	(30,537)

Summary of the carrying value and estimated fair value of financial instruments not carried at fair value on the consolidated balance sheets and are classified as Level 3

	December 31, 2021				December 31, 2020
(in thousands)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets:
Loans, net	$	6,986,528	$	7,112,282	$	4,009,636	$	4,103,200
Paycheck Protection Program loans		867,109		927,766		—		—
Purchased future receivables, net		7,872		7,872		17,308		17,308
Servicing rights		84,457		89,470		37,823		47,567
Total assets	$	7,945,966	$	8,137,390	$	4,064,767	$	4,168,075
Liabilities:
Secured borrowings	$	2,517,600	$	2,517,600	$	1,294,243	$	1,294,243
Paycheck Protection Program Liquidity Facility borrowings		941,505		941,505		76,276		76,276
Securitized debt obligations of consolidated VIEs, net		3,214,303		3,238,155		1,905,749		1,907,541
Senior secured note, net		342,035		338,990		179,659		188,114
Guaranteed loan financing		345,217		366,887		401,705		426,348
Convertible notes, net		113,247		118,922		112,129		68,186
Corporate debt, net		441,817		457,741		150,989		151,209
Total liabilities	$	7,915,724	$	7,979,800	$	4,120,750	$	4,111,917